Document Type

Article

Publication Date

2026

Abstract

This paper investigates, for the first time in the literature, the factors that should matter to courts in determining whether a crypto  market is “efficient,” meaning that prices are sufficiently responsive to information. Based on new empirical evidence and a series of event studies, we recommend a new judicial framework for assessing market  efficiency in crypto litigation.

Market efficiency tests based on event studies have played an important role in other areas of litigation, particularly securities litigation, where courts frequently rely on what have become known as the “Cammer factors.” Academics have not yet assessed the extent to which market efficiency factors should vary for crypto assets versus securities. We fill this gap.

First, we provide a background framework for understanding the existing legal approaches courts use to assess market efficiency. We survey and address academic criticism of the Cammer factors and explain the rationale behind their continued use.

Second, we conduct 452 event studies of new listings of cryptocurrency tokens and document the variance of important efficiency-related variables in our sample. We discuss the implications of these empirical findings for event study methodologies in litigation involving crypto assets.

Finally, we recommend modified factors for courts to adopt in crypto versus securities cases. We show how an adjusted crypto version of the Cammer factors could provide a framework for courts to use in assessing market efficiency in cryptocurrency litigation. Our analysis of market efficiency also provides insights and a roadmap for researchers and policymakers who seek to assess the use of market efficiency factors in litigation more generally.

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Library of Congress Subject Headings

Cryptocurrencies--Law and legislation, Efficient market theory

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